Financial Engineering with Copulas Explained
| By: | J. Mai; M. Scherer |
| Publisher: | Springer Nature |
| Print ISBN: | 9781137346308 |
| eText ISBN: | 9781137346315 |
| Edition: | 0 |
| Copyright: | 2014 |
| Format: | Reflowable |
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This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.